Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
3,481 documents
This short forum exchange addresses an error in a regression-evaluation workflow that reports a missing label. The response says the problem cannot be diagnosed precisely without details about the task, then recommends first defining what quantity the model…
The document records a user’s question about a trading platform’s order function: sell instructions appear to execute at the following day’s close rather than the day they are issued. The issue affects holding-period exits and closing-price take-profit or…
This report reviews quality-focused Smart Beta investing in overseas and Chinese markets. It describes the approach as an index strategy built from company financial data to capture underlying business quality, then compares product development and index…
This report examines fund advisory services in China, including how third-party fund platforms work with licensed asset managers and how advisory services may evolve. It describes the platforms mainly as places where advisory strategies are presented, with…
The article examines whether dividend announcements convey information about future company earnings. It argues that prior studies may have missed this link by grouping earnings by fiscal year, which can treat post-announcement earnings as already known.…
This document describes a chart indicator that draws support, resistance, and trend lines over a configurable number of bars. It was initially used within a short-term scalping approach on five- and fifteen-minute charts, and later as a standalone indicator…
This article explains random forests through CART decision trees, Gini impurity, bootstrap sampling, and aggregation. Trees are trained on resampled data, while their predictions are combined by voting for classification or averaging for regression. It also…
This report compares ways to measure similarity among funds, including cosine similarity, Euclidean distance, and return correlations. It argues that the choice of measure should follow the intended meaning of “similar”: resemblance in holdings structure,…
This short discussion explains how to compute a running total of traded amount separately for each stock in a multi-instrument dataset. A single cumulative sum across the full table combines all instruments, so the suggested approach groups rows by…
The document introduces factor research as a way to study characteristics that may help explain the returns and risks of financial assets. It names market capitalization, quality, momentum, low volatility, and yield as examples of factors that researchers…
This example implements a Dual Thrust breakout strategy on a futures contract using daily bars. It calculates a range from the prior five completed sessions: the larger of the highest high minus the lowest close, or the highest close minus the lowest low.…
This research note outlines an extension to traditional risk parity. Standard risk parity assigns equal contributions to portfolio volatility, but this approach accounts for only variance and can leave exposure to skewness and kurtosis uneven. Those higher…
The document summarizes research on whether investors react differently to corporate announcements made before major holidays. The study examines US stock repurchases, equity issuance, mergers, and quarterly earnings announcements from 1984 to 2012,…
The document catalogs the 158 Alpha158 features used in quantitative equity research. It groups formulas into candlestick shape and normalized price features; trend measures such as returns, moving averages, regression slopes, fit, and residuals; and…
This report describes a multi-factor event rotation approach for finding stock-related events that may be attracting market attention. It considers events involving shareholder behavior, dividend policies, earnings forecasts and growth reports, and private…
This essay argues that traders should pass on marginal setups and act only when a trade strongly meets their criteria. It frames selectivity as a way to reduce unnecessary decisions and make accepting losses more manageable. It also emphasizes studying wins…
This research summary describes a method for forecasting year-over-year inventory growth across six products in China’s ferrous commodity chain. It treats inventory as an indicator of relative supply and demand, while noting that true inventory is difficult…
This brief troubleshooting note explains one cause of an empty-data error in a futures backtest. It says that the exchange’s contract symbol convention matters: for Dalian Commodity Exchange contracts, the letter portion should be lowercase, and using…
This report proposes classifying equity sectors by how their excess returns relate to economic conditions. It questions existing Chinese cyclical and noncyclical sector indexes, then measures lead-lag correlations between China Securities Index industry…
The document describes a liquidity premium factor built from buy-side limit order book data. For a chosen trade amount, the method simulates execution against displayed orders, adding interpolated virtual orders as needed, and compares the resulting market…
This article proposes interpreting a sharp drop after a news-driven, limit-up move as a possible shakeout before another advance. Its suggested filters are a month or more of relatively quiet consolidation with range contained within 20%, a stock near the…
The document introduces Bayes’ theorem as a way to update the probability of an event after receiving new evidence. It defines the prior probability, likelihood, marginal probability, and posterior probability, and gives the formula relating them. It also…
This Chinese equities study proposes quantifying unusual intraday stock behavior by measuring how often a stock moves against a market index. It uses correlation as a screening tool to identify these divergence events, then treats them as event-driven…
This Chinese-language monthly and weekly product review reports results for several China equity strategies in May 2018. It covers multi-factor index enhancement portfolios linked to the CSI 300 and CSI 500, a short-horizon price-volume model, AI stock…